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From |
Robert A Yaffee <bob.yaffee@nyu.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: simultaneous probit model |

Date |
Thu, 08 Oct 2009 10:44:34 -0400 |

Martin, According to the help file, one of the dependent vars has to be binary, whereas the other has to be continuous. If she could find a cut-point and collapse that variable, it would be a simultanous probit. However, I don't think that the cdsimeq is exact what she wants. She wants one where the two endogenous variables are dichotomous. Moreover, she might want something other than 2sls estimation. Bob Robert A. Yaffee, Ph.D. Research Professor Silver School of Social Work New York University Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf CV: http://homepages.nyu.edu/~ray1/vita.pdf ----- Original Message ----- From: Robert A Yaffee <bob.yaffee@nyu.edu> Date: Thursday, October 8, 2009 10:33 am Subject: Re: st: simultaneous probit model To: statalist@hsphsun2.harvard.edu > Marie, Martin, Partha, > M. G. Keshk wrote a program called cdsimeq > that will handle some forms of simultanous probit. > On the command line, type: findit cdsimeq > Cheers, > Robert > > Robert A. Yaffee, Ph.D. > Research Professor > Silver School of Social Work > New York University > > Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf > > CV: http://homepages.nyu.edu/~ray1/vita.pdf > > ----- Original Message ----- > From: Partha Deb <partha.deb@hunter.cuny.edu> > Date: Thursday, October 8, 2009 9:42 am > Subject: Re: st: simultaneous probit model > To: statalist@hsphsun2.harvard.edu > > > > <> > > Notation is important here. The model you have written down is not > > > quite model 6 in Maddala. Model 6 has > > > > (1) Y1* = a*Y2* + b*X1 + e1 > > (2) Y2* = b*Y1* + c*X2 + e2 > > > > i.e., the endogenous regressors on the RHS are the latent indices > > underlying Y1 and Y2, not the binary indicators themselves. If this > > > is > > the model you want, Maddala, on the pages you've cited, outlines a > > 2-step plug in method. That's straightforward to implement. > Standard > > > > errors are more complicated, but you could just bootstrap it all to > > > get > > consistent standard errors. > > > > best. > > > > Partha > > > > > > Marie-Benoit MAGRINI wrote: > > > Hello, > > > > > > I am looking for a program allowing me to implement the « model 6 > » > > in > > > the book of Maddala (1983, “Limited dependent and qualitative > > > variables in econometrics”, chapter 8 about the two-stage > estimation > > > > > methods, page 246). > > > > > > That is, I am trying to estimate the following simultaneous probit > > > > model : > > > > > > (1) Y1 = a*Y2 + b*X1 + e1 > > > > > > (2) Y2 = b*Y1 + c*X2 + e2 > > > > > > where Y1 and Y2 are two endogeneous binary variables; X1 and X2 > are > > > > > two sets of exogenous variables of Y1 and Y2 respectively; e1 and > e2 > > > > > the error terms. > > > > > > Y1 and Y2 are endogenously determined by each other. > > > > > > I have looked at the ‘cdsimeq’ program but I understand that it > > > corresponds to the model where one dependent variable is > continuous > > > > > and the other binary. So it cannot be used in my case. > > > > > > I have also looked at the ‘biprobit’ procedure but I understand > that > > > > > it is adapted only for recursive model that is only one dependent > > > > variable is an explicative of the other one (the model 6 I’ve been > > > > trying to estimate is not recursive). > > > > > > Could someone tell me if this simultaneous probit model can be > > > estimated with STATA ? > > > > > > best regards, > > > > > > mb magrini > > > > > > using Stata 10 > > > > > > -------------------------------------------------------------- > > > Marie-Benoît MAGRINI > > > PhD in Economics > > > INRA - French National Institute for Agricultural Research > > > UMR1248 AGIR > > > BP 52627 > > > 31326 Castanet Tolosan > > > FRANCE > > > Phone: 33 (0)5 61 28 54 22 > > > Fax: 33 (0)5 61 73 20 77 > > > email: mbmagrini@toulouse.inra.fr > > > http://www.toulouse.inra.fr/agir > > > http://www.international.inra.fr > > > --------------------------------------------------------------- > > > > > > > > > > > > > > > > > > > > > > > > * > > > * For searches and help try: > > > * http://www.stata.com/help.cgi?search > > > * http://www.stata.com/support/statalist/faq > > > * http://www.ats.ucla.edu/stat/stata/ > > > > -- > > Partha Deb > > Professor of Economics > > Hunter College > > ph: (212) 772-5435 > > fax: (212) 772-5398 > > http://urban.hunter.cuny.edu/~deb/ > > > > Emancipate yourselves from mental slavery > > None but ourselves can free our minds. > > - Bob Marley > > > > > > * > > * For searches and help try: > > * http://www.stata.com/help.cgi?search > > * http://www.stata.com/support/statalist/faq > > * http://www.ats.ucla.edu/stat/stata/ > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: simultaneous probit model***From:*Marie-Benoit MAGRINI <marie-benoit.magrini@toulouse.inra.fr>

**Re: st: simultaneous probit model***From:*Partha Deb <partha.deb@hunter.cuny.edu>

**Re: st: simultaneous probit model***From:*Robert A Yaffee <bob.yaffee@nyu.edu>

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